Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0587 |
| Annualized Std Dev | 0.1918 |
| Annualized Sharpe (Rf=0%) | 0.3062 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.1276 |
| Quartile 1 | -0.0047 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0057 |
| Maximum | 0.1356 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0001 |
| Stdev | 0.0121 |
| Skewness | 0.1195 |
| Kurtosis | 15.0076 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0086 |
| Gain Deviation | 0.0089 |
| Loss Deviation | 0.0094 |
| Downside Deviation (MAR=210%) | 0.0133 |
| Downside Deviation (Rf=0%) | 0.0085 |
| Downside Deviation (0%) | 0.0085 |
| Maximum Drawdown | 0.5378 |
| Historical VaR (95%) | -0.0185 |
| Historical ES (95%) | -0.0285 |
| Modified VaR (95%) | -0.0155 |
| Modified ES (95%) | -0.0155 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-10 | 2009-03-09 | 2013-03-05 | -0.5378 | 1359 | 355 | 1004 |
| 2000-01-18 | 2002-10-09 | 2006-10-04 | -0.3777 | 1689 | 685 | 1004 |
| 2020-02-13 | 2020-03-23 | 2020-11-16 | -0.3706 | 193 | 27 | 166 |
| 2018-10-04 | 2018-12-24 | 2019-06-20 | -0.1860 | 178 | 56 | 122 |
| 2015-05-20 | 2015-08-25 | 2016-07-12 | -0.1445 | 289 | 68 | 221 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0.1 | 0.2 | 0.5 | -1.1 | 0.9 | 1.2 | -1.3 | 1.2 | -1 | -1 | 1.3 | 0.6 | 1.6 |
| 2000 | 0.7 | 0.1 | -0.6 | 0.5 | 1.1 | 0.1 | 1 | 0.1 | -1.6 | -0.2 | -0.6 | -1.8 | -1.2 |
| 2001 | 1.2 | -0.3 | 1 | 1.7 | 1.3 | -0.4 | 0.2 | 0.6 | 0.4 | 2 | -0.2 | -1.3 | 6.3 |
| 2002 | 0 | 2.7 | -0.3 | 1.5 | -0.1 | -1.6 | -2.6 | -0.3 | 5.3 | 1.9 | -0.7 | 0.2 | 5.8 |
| 2003 | 1.9 | 0.3 | 1.2 | -0.3 | 1.6 | 0.7 | -0.7 | 0.5 | 1.8 | -0.3 | 1 | 0.2 | 8.4 |
| 2004 | 0 | 0.8 | 0.2 | -0.7 | 0 | -1.3 | 0.2 | 0 | 1.3 | 0.3 | 1.3 | -0.3 | 1.7 |
| 2005 | 0.6 | 0.5 | -0.9 | 1.4 | 0.7 | 0.4 | -0.4 | -0.3 | 0.3 | 0.2 | 0.8 | -0.7 | 2.5 |
| 2006 | 1.2 | 0.5 | -0.1 | -0.5 | 0.6 | 0 | -0.6 | 0.8 | -0.1 | -0.4 | -0.2 | -0.3 | 0.8 |
| 2007 | 0.4 | -0.2 | 0.2 | 0.5 | 0.2 | 0.1 | 0.9 | 0.6 | 1.2 | -2.2 | 0.7 | -0.6 | 1.9 |
| 2008 | 1.1 | -2.2 | 3 | 1.4 | -0.1 | 0.3 | -0.5 | -1.4 | 0.3 | 1.1 | -7.5 | 1 | -3.9 |
| 2009 | -1.8 | -1.5 | 2.2 | 0.6 | 2.3 | 0.4 | 0.3 | -1.9 | -2 | -2.5 | 1.1 | -1.1 | -4 |
| 2010 | 1.3 | 0.7 | 0.6 | -1.4 | -1.1 | -0.4 | 0 | 2.6 | 0.4 | 0 | 2.3 | 0.2 | 5.1 |
| 2011 | 1.3 | -1.5 | 0.4 | 0.5 | -2.2 | 1.4 | 0 | -0.9 | -2.2 | -2.5 | 0 | -0.5 | -6.3 |
| 2012 | 0.7 | 0.2 | 0.5 | 0.6 | -2.2 | 2.1 | -0.2 | 0.7 | 0.5 | 1.1 | 0 | 1.2 | 5.2 |
| 2013 | 1 | 0.3 | 0 | -0.9 | -1.3 | 0.6 | 0.7 | -0.3 | 0.4 | 0.4 | -0.1 | 0.5 | 1.3 |
| 2014 | -0.9 | 0.3 | 0.4 | -0.1 | 0.1 | 0.8 | -0.4 | 0.1 | -1.4 | 1.1 | -0.3 | -0.9 | -1.3 |
| 2015 | -1.4 | -0.5 | -0.5 | 1 | 0.2 | 0.9 | -0.3 | -2.9 | -0.1 | -0.5 | 0.9 | -1 | -4.2 |
| 2016 | 0 | 2.2 | 0.6 | -0.3 | 0 | 0.2 | -0.1 | 0.1 | 0.9 | -0.6 | 0.3 | -0.2 | 2.9 |
| 2017 | 0.1 | 1.5 | -0.3 | -0.1 | 0.7 | 0.3 | 0.3 | 0.2 | 0.1 | 0.2 | -0.2 | -0.3 | 2.6 |
| 2018 | 0.1 | -1.7 | 1.3 | -0.3 | 0.9 | 0.3 | -0.4 | -0.1 | 0.9 | 1 | 0.8 | 1.2 | 3.9 |
| 2019 | 0.1 | 0.4 | 1.3 | -0.6 | -1.4 | 0.4 | -1 | 0.1 | -1.4 | 1.1 | -0.3 | 0.2 | -1.2 |
| 2020 | -2.1 | -1.1 | -4.5 | -2.4 | 0.4 | -0.2 | 0.4 | 0.9 | 0.2 | -0.6 | 0.6 | 0.5 | -7.8 |
| 2021 | 0.7 | 2 | -1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.7 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
